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Risk, Jumps, and Diversification

Citations

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Cited by:

  1. Liao, Yin & Pan, Zheyao, 2022. "Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
  2. Yu-Min Yen, 2013. "Testing Jumps via False Discovery Rate Control," PLOS ONE, Public Library of Science, vol. 8(4), pages 1-15, April.
  3. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  4. Arouri, Mohamed & M’saddek, Oussama & Pukthuanthong, Kuntara, 2019. "Jump risk premia across major international equity markets," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 1-21.
  5. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  6. Ao Kong & Hongliang Zhu & Robert Azencott, 2021. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 416-438, April.
  7. Yin Liao & Heather Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics 2010-520, Australian National University, College of Business and Economics, School of Economics.
  8. Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
  9. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
  10. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
  11. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021. "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 399-410.
  12. Cheng Jiang & Kose John & David Larsen, 2021. "R&D investment intensity and jump volatility of stock price," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 235-277, July.
  13. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
  14. Elenev, Vadim & Law, Tzuo-Hann & Song, Dongho & Yaron, Amir, 2024. "Fearing the Fed: How wall street reads main street," Journal of Financial Economics, Elsevier, vol. 153(C).
  15. Prosper Dovonon & Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2019. "Bootstrapping High-Frequency Jump Tests," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 793-803, April.
  16. le Bris, David & Goetzmann, William N. & Pouget, Sébastien, 2019. "The present value relation over six centuries: The case of the Bazacle company," Journal of Financial Economics, Elsevier, vol. 132(1), pages 248-265.
  17. Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017. "Systematic cojumps, market component portfolios and scheduled macroeconomic announcements," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 43-58.
  18. Ding, Yi & Li, Yingying & Liu, Guoli & Zheng, Xinghua, 2024. "Stock co-jump networks," Journal of Econometrics, Elsevier, vol. 239(2).
  19. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
  20. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2015. "Modelling systemic price cojumps with Hawkes factor models," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1137-1156, July.
  21. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
  22. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
  23. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  24. Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
  25. Yan, Han & Liu, Bin & Zhu, Xingting & Wu, Yan, 2024. "Systemic risk monitoring model from the perspective of public information arrival," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  26. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
  27. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2017. "Double-jump diffusion model for VIX: evidence from VVIX," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 227-240, February.
  28. Sharon S. Yang & Jr-Wei Huang & Chuang-Chang Chang, 2016. "Detecting and modelling the jump risk of CO 2 emission allowances and their impact on the valuation of option on futures contracts," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 749-762, May.
  29. Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015. "Estimating the price impact of trades in a high-frequency microstructure model with jumps," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 205-224.
  30. Londono, Juan M., 2019. "Bad bad contagion," Journal of Banking & Finance, Elsevier, vol. 108(C).
  31. Zeng, Yan & Li, Danping & Gu, Ailing, 2016. "Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 138-152.
  32. Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
  33. Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
  34. Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013. "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, vol. 172(2), pages 307-324.
  35. Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
  36. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  37. Timothy Falcon Crack & Olivier Ledoit, 2010. "Central limit theorems when data are dependent: addressing the pedagogical gaps," IEW - Working Papers 480, Institute for Empirical Research in Economics - University of Zurich.
  38. Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017. "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
  39. Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  40. Ao Kong & Hongliang Zhu & Robert Azencott, 2019. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Papers 1912.07165, arXiv.org.
  41. Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
  42. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  43. Lee, Suzanne S. & Hannig, Jan, 2010. "Detecting jumps from Lévy jump diffusion processes," Journal of Financial Economics, Elsevier, vol. 96(2), pages 271-290, May.
  44. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
  45. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  46. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  47. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
  48. Bibinger, Markus & Winkelmann, Lars, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers 2013-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  49. Youcong Chao & Xiaoqun Liu & Shijun Guo, 2017. "Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market," PLOS ONE, Public Library of Science, vol. 12(8), pages 1-14, August.
  50. Liao, Yin & Anderson, Heather M., 2019. "Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 252-274.
  51. Rangan Gupta & Chi Keng Marco Lau & Ruipeng Liu & Hardik A. Marfatia, 2019. "Price jumps in developed stock markets: the role of monetary policy committee meetings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 298-312, April.
  52. Fabio Gobbi & Cecilia Mancini, 2006. "Identifying the covariation between the diffusion parts and the co-jumps given discrete observations," Papers math/0610621, arXiv.org, revised Jul 2008.
  53. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
  54. Cecilia Mancini & Fabio Gobbi, 2010. "Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations," Working Papers - Mathematical Economics 2010-05, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  55. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
  56. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  57. Hachmi Ben Ameur & Zied Ftiti & Waël Louhichi, 2024. "Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition," Annals of Operations Research, Springer, vol. 341(2), pages 757-779, October.
  58. Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  59. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
  60. Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Janeway Institute Working Papers 2423, Faculty of Economics, University of Cambridge.
  61. Zhang, Hao & Zhu, Jiaqing, 2022. "Does trade cause fear of appreciation?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 68-80.
  62. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
  63. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2024. "Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 503-519.
  64. Xindan Li & Bing Zhang, 2013. "Spillover and Cojumps Between the U.S. and Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 23-42, March.
  65. Liling Deng & Haifang Xiong & Zhiqiang Wang, 2023. "Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test," Electronic Commerce Research, Springer, vol. 23(1), pages 115-135, March.
  66. Stephen J. Taylor & Chi‐Feng Tzeng & Martin Widdicks, 2018. "Information about price and volatility jumps inferred from options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1206-1226, October.
  67. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  68. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
  69. Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
  70. Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.
  71. repec:hal:journl:peer-00741630 is not listed on IDEAS
  72. Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
  73. Bregantini, Daniele, 2013. "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4755-4764.
  74. Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
  75. Tseng Tseng-Chan & Chung Huimin & Huang Chin-Sheng, 2009. "Modeling Jump and Continuous Components in the Volatility of Oil Futures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-30, May.
  76. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series 1436, European Central Bank.
  77. Hellström, Jörgen & Lönnbark, Carl, 2011. "Identi�cation of jumps in �financial price series," MPRA Paper 30977, University Library of Munich, Germany.
  78. Elie Bouri, 2019. "The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters," Risks, MDPI, vol. 7(4), pages 1-15, December.
  79. Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
  80. Lian, Yu-Min & Chen, Jun-Home, 2020. "Joint dynamic modeling and option pricing in incomplete derivative-security market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  81. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, August.
  82. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
  83. Haigang Zhou & John Zhu, 2011. "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 309-331, July.
  84. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
  85. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
  86. Li, Guangzhong & Zhu, Jiaqing & Li, Jie, 2016. "Understanding bilateral exchange rate risks," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 103-129.
  87. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
  88. Dutta, Anupam & Bouri, Elie & Rothovius, Timo & Azoury, Nehme & Uddin, Gazi Salah, 2024. "Does oil price volatility matter for the US transportation industry?," Energy, Elsevier, vol. 290(C).
  89. Cui, Yan & Yang, Jun & Zhou, Zhou, 2023. "State-domain change point detection for nonlinear time series regression," Journal of Econometrics, Elsevier, vol. 234(1), pages 3-27.
  90. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
  91. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
  92. Uddin, Gazi Salah & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain & Kang, Sang Hoon, 2020. "Characteristics of spillovers between the US stock market and precious metals and oil," Resources Policy, Elsevier, vol. 66(C).
  93. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  94. Li, Chenxing & Maheu, John M, 2020. "A Multivariate GARCH-Jump Mixture Model," MPRA Paper 104770, University Library of Munich, Germany.
  95. Dion Bongaerts & Richard Roll & Dominik Rösch & Mathijs van Dijk & Darya Yuferova, 2022. "How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective," Management Science, INFORMS, vol. 68(4), pages 3071-3089, April.
  96. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
  97. Buncic, Daniel & Gisler, Katja I.M., 2017. "The role of jumps and leverage in forecasting volatility in international equity markets," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 1-19.
  98. Wang, Hao & Yue, Mengqi & Zhao, Hua, 2015. "Cojumps in China's spot and stock index futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 541-557.
  99. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2015. "Double-jump stochastic volatility model for VIX: evidence from VVIX," Papers 1506.07554, arXiv.org, revised Jul 2015.
  100. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
  101. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
  102. Zhu, Jiaqing, 2019. "External financial liabilities and real exchange rate jumps," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 202-220.
  103. Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon, 2014. "Currency jumps and crises: Do developed and emerging market currencies jump together?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 132-157.
  104. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
  105. Jan Novotný & Giovanni Urga, 2018. "Testing for Co-jumps in Financial Markets," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 118-128.
  106. Jonathan J. Reeves & Xuan Xie, 2014. "Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 347-356, March.
  107. Ahadzie, Richard Mawulawoe & Jeyasreedharan, Nagaratnam, 2020. "Trading volume and realized higher-order moments in the Australian stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  108. Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
  109. Ewald, Christian & Hadina, Jelena & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Yahya, Muhammad, 2023. "Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures," Finance Research Letters, Elsevier, vol. 58(PA).
  110. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
  111. Douglas G. Santos & Flavio A. Ziegelmann, 2014. "Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 284-299, July.
  112. Karmous, Aida & Boubaker, Heni & Belkacem, Lotfi, 2019. "A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  113. Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur, 2015. "A comparison of implied and realized volatility in the Nordic power forward market," Energy Economics, Elsevier, vol. 48(C), pages 288-294.
  114. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  115. Dutta, Anupam & Soytas, Ugur & Das, Debojyoti & Bhattacharyya, Asit, 2022. "In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets," Energy Economics, Elsevier, vol. 114(C).
  116. Yeh, Jin-Huei & Yun, Mu-Shu, 2023. "Assessing jump and cojumps in financial asset returns with applications in futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  117. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
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